You have learned that Delivery Status Notifications (DSN), including delivery delay status and Non-Delivery Reports, are rejected by recipients email servers due to DKIM verification failure. This also includes DSNs created from Content Filtering rules ("Send a Delivery Status Notification with explanation" action).
Delivery Status Notification emails are currently not DKIM signed by the Messaging Gateway.
This issue is being investigated. This article will be updated when more information is available.